Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0109 |
| Annualized Std Dev | 0.1357 |
| Annualized Sharpe (Rf=0%) | 0.0806 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2974.0000 |
| NAs | 1.0000 |
| Minimum | -0.1050 |
| Quartile 1 | -0.0035 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0044 |
| Maximum | 0.0597 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0001 |
| Stdev | 0.0086 |
| Skewness | -1.4927 |
| Kurtosis | 20.2136 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0065 |
| Gain Deviation | 0.0055 |
| Loss Deviation | 0.0074 |
| Downside Deviation (MAR=210%) | 0.0115 |
| Downside Deviation (Rf=0%) | 0.0065 |
| Downside Deviation (0%) | 0.0065 |
| Maximum Drawdown | 0.3274 |
| Historical VaR (95%) | -0.0124 |
| Historical ES (95%) | -0.0211 |
| Modified VaR (95%) | -0.0138 |
| Modified ES (95%) | -0.0377 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2012-11-26 | 2020-03-18 | NA | -0.3274 | 2094 | 1840 | NA |
| 2010-09-07 | 2011-01-14 | 2012-05-21 | -0.2019 | 431 | 92 | 339 |
| 2009-06-22 | 2009-07-08 | 2009-10-06 | -0.1100 | 75 | 12 | 63 |
| 2012-07-27 | 2012-08-13 | 2012-10-01 | -0.0740 | 46 | 12 | 34 |
| 2009-10-09 | 2009-12-30 | 2010-03-08 | -0.0623 | 102 | 57 | 45 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | -0.7 | 1.4 | 1.3 | 0.8 | 0.7 | -0.2 | 1.1 | 0.2 | 4.8 |
| 2010 | 0.7 | 0 | 0.7 | -0.1 | 0.1 | 0.7 | 0.3 | 0.3 | 0.3 | -0.5 | -1.7 | 1.4 | 2.2 |
| 2011 | 1.1 | 0.9 | 0.5 | 0.5 | -0.7 | 0.6 | 0.9 | -0.2 | -0.1 | 1.2 | 0.9 | 1.2 | 7 |
| 2012 | 0.4 | 0.4 | 1 | 0.7 | -0.3 | 0.5 | -0.5 | 0.6 | 1.3 | 0.1 | -0.6 | 1 | 4.6 |
| 2013 | -0.2 | -0.1 | -0.4 | 0.5 | -0.8 | 1 | -0.1 | 0 | -0.1 | -1.7 | 0.2 | -0.8 | -2.5 |
| 2014 | 0.4 | -0.1 | -0.1 | 0.7 | -0.1 | -0.1 | 0.6 | 0 | 0.3 | 0.1 | 0 | -0.2 | 1.6 |
| 2015 | 0.5 | 0.2 | 0.3 | -0.8 | 0.9 | 0.5 | 0.7 | 0 | 0.2 | 0 | -0.3 | 0 | 2.3 |
| 2016 | 0.2 | 0.1 | 0.6 | 0.8 | 1.1 | 0.7 | -0.2 | 0 | 0.2 | 0.5 | -0.6 | 0 | 3.4 |
| 2017 | 0.3 | -1.1 | 0 | 0.2 | -0.1 | -0.3 | 0.6 | 0 | -0.7 | 0.5 | 0.1 | -0.2 | -0.6 |
| 2018 | -0.5 | 0.2 | -0.6 | 0 | 0 | 0.5 | 0.9 | 0.7 | 0 | -0.7 | 0.3 | 0.3 | 1.3 |
| 2019 | 1.3 | 0 | 0.2 | 2 | 1.6 | 0.9 | 0.3 | 0.4 | 0.4 | 0.5 | 0 | -0.6 | 7.2 |
| 2020 | -0.4 | -0.8 | -3.2 | 0.1 | 0.9 | -0.2 | 0.2 | 0.4 | 0.4 | 1.9 | -0.1 | 0.2 | -0.6 |
| 2021 | 0.2 | -0.3 | 3.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-05-27 20 SPY 89.7 -0.0179 -0.0159 0.0446 0.166 -0.353 -0.289 -0.187 GLD 93.4 -0.0033 0.0274
2 2009-05-28 20.0 SPY 90.9 0.0139 0.0045 0.0625 0.202 -0.347 -0.288 -0.187 GLD 94.2 0.0085 0.0216
3 2009-05-29 20.1 SPY 92.5 0.0177 0.0372 0.0588 0.252 -0.339 -0.279 -0.176 GLD 96.2 0.0208 0.025
4 2009-06-01 20 SPY 94.8 0.0242 0.0646 0.0841 0.342 -0.325 -0.248 -0.160 GLD 95.7 -0.0049 0.0168
5 2009-06-02 20.0 SPY 94.8 0.0008 0.0389 0.0792 0.354 -0.317 -0.256 -0.160 GLD 96.4 0.0066 0.0277
6 2009-06-03 20.2 SPY 93.6 -0.0127 0.0444 0.0305 0.306 -0.322 -0.272 -0.169 GLD 94.4 -0.0202 0.0103
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
